What themes are you having troubles with. XP themes are supposed to work with FX. Many of the cursors I have made I made in XP while FX was in development then just handed them over. You can also convert a XP cursor by opening it up in FX and saving it as a FX theme. If you have one you want to convert let me know.
CursorFX will run CursorXP themes. Going forward however, CursorXP will not load CursorFX themes because the format has been extended to support effects inside of the cursor files.
There was an issue with Cursors not being loaded correctly on XP, but that has been resolved in the latest build.
Thanks for your comments!